Parameter Change Test for Poisson Autoregressive Models

DOI10.1111/sjos.12088zbMath1305.62313OpenAlexW2126723251MaRDI QIDQ2932778

Sangyeol Lee, Jiwon Kang

Publication date: 9 December 2014

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12088

zbMATH Keywords

Poisson autoregressive modelCUSUM testtest for parameter changeinteger-valued GARCH modelmodels of count data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Uses Software

• Fahrmeir

Cites Work

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• Monte Carlo EM Estimation for Time Series Models Involving Counts
• Time Series Models Based on Generalized Linear Models: Some Further Results
• Interventions in INGARCH processes
• Changepoints in times series of counts
• Multivariate statistical modelling based on generalized linear models.

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